Short interest figures for the middle of February were released after the close yesterday, and we just sent out our regular update on the topic to Premium and Institutional clients. Into the sell-off during the first half of February, short interest levels saw nearly across the board increases. The table below is from our most recent update and it lists the 45 stocks in the S&P 1500 that have more than 25% of their free-floating shares sold short. For each stock, we also include its performance so far during the month of February.
Despite the fact that the rally off the February lows has been driven by a lot of short covering where the most heavily shorted stocks outperformed, for the entire month of February, these stocks are actually trailing the market. This is because they were absolutely decimated during the first half of the month. As of this morning, the average return of the 45 stocks listed was a decline of 3.42% (median: -2.39%) versus a decline of 0.32% for the S&P 1500. What is interesting about the performances of the stocks listed, however, is how disparate the returns have been, ranging from a decline of 59% for SunEdison (SUNE) to a gain of 44% for Century Aluminum (CENX). In total, there are fourteen stocks that are down 10%+ while nine are up 10% or more.